From the u-he FAQ:

New / downloaded presets need to go where the factory presets are installed in order to be seen by the plug-in.

To add them:

1. Open the correct u-he plug-in
2. Switch to the Preset Browser
3. Right-click on the Local folder to show a popup menu
4. Select reveal in Finder option.

Your OS will show you the folder containing the factory preset library for that plug-in. You can put your new presets into this folder, or create a new sub-folder for them. You are free to change the folder structure in there, rename / move / delete folders and presets as you like.

Once all your new presets are in place, go back to the plug-in, right-click on the Preset Browser folder list again and select refresh from the popup menu. You should now see your new presets in the list.